The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
CCP's clearing members incurred 49 margin breaches as of end-September
Increased scrutiny of anti-money laundering and customer due-diligence procedures means banks must create more efficient and effective systems. A recent webinar conducted by Risk.net and IBM discussed how leading banks are utilising artificial…
Ties between alternative risk premia and fixed income closer than appreciated
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing the authors to identify models that are valid for use in emerging markets.
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
There is no concord on how banks should police their model risk. But two Fed economists have an idea
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting.
This study reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate…
Measure aims to provide better gauge of VAR violations
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.